Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0928 |
| Annualized Std Dev | 0.2645 |
| Annualized Sharpe (Rf=0%) | -0.3510 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3519.0000 |
| NAs | 1.0000 |
| Minimum | -0.1678 |
| Quartile 1 | -0.0058 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1494 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0003 |
| Stdev | 0.0167 |
| Skewness | -0.9088 |
| Kurtosis | 19.2375 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0153 |
| Downside Deviation (MAR=210%) | 0.0169 |
| Downside Deviation (Rf=0%) | 0.0127 |
| Downside Deviation (0%) | 0.0127 |
| Maximum Drawdown | 0.8556 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0433 |
| Modified VaR (95%) | -0.0252 |
| Modified ES (95%) | -0.0448 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2020-03-23 | NA | -0.8556 | 3474 | 3223 | NA |
| 2007-04-30 | 2007-05-01 | 2007-06-04 | -0.0253 | 25 | 2 | 23 |
| 2007-04-17 | 2007-04-17 | 2007-04-20 | -0.0029 | 4 | 1 | 3 |
| 2007-04-23 | 2007-04-23 | 2007-04-25 | -0.0015 | 3 | 1 | 2 |
| 2007-04-03 | 2007-04-03 | 2007-04-05 | -0.0005 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | 0 | -0.4 | 1 | 1.1 | -0.4 | 1 | 1 | -0.4 | 1.3 | 1.9 | 6.2 |
| 2008 | 2.3 | -1.8 | 3.7 | 1.7 | 0.5 | 1.6 | 0.7 | 0.9 | 5.2 | 6.5 | -9 | 3.7 | 16 |
| 2009 | 0 | -0.5 | 1.1 | 2.1 | 3 | 1.9 | -0.1 | -2.4 | -0.2 | -2 | 2 | 0.5 | 5.5 |
| 2010 | 1 | 1.5 | 2.2 | -2 | -1 | -2.7 | 2.6 | 1.1 | 0.7 | 0 | 2.8 | 0.2 | 6.4 |
| 2011 | 1.3 | -0.1 | 0.6 | 0.5 | -0.1 | 1.3 | 1.7 | -0.2 | -3.2 | -1.6 | -0.9 | 0.3 | -0.4 |
| 2012 | 1.8 | 1.8 | 0.8 | 0.4 | -1.5 | 1.7 | 0.6 | 0.8 | 0.5 | 3.4 | -0.6 | 0.4 | 10.4 |
| 2013 | 0.9 | 0.6 | 0.1 | 0.3 | -1.1 | 2.5 | 0.7 | -0.4 | 1.2 | 0.4 | 0.5 | 0.8 | 6.7 |
| 2014 | -0.7 | -0.1 | 0.1 | 0.4 | 1.3 | 0.7 | -1.3 | -0.2 | -0.5 | 1 | -0.7 | 1.2 | 1.1 |
| 2015 | -1.2 | 0.4 | -0.5 | 0.1 | -0.3 | 0.6 | -0.1 | -1.7 | 0.2 | 0.8 | 0.7 | 0 | -1.2 |
| 2016 | -0.3 | 1.5 | 0.3 | 0.3 | 0.7 | 1.2 | -0.2 | -0.2 | 0.2 | -0.9 | 0 | 0.2 | 2.8 |
| 2017 | 1.3 | 0.2 | 0.5 | 0.3 | -1.5 | -0.2 | 0.5 | 0.8 | -0.2 | -0.2 | -1 | 0.2 | 0.7 |
| 2018 | 0 | -0.7 | 1.2 | -0.3 | 0.7 | -0.5 | 0 | 0.2 | 0.8 | 1 | -0.4 | -1.3 | 0.6 |
| 2019 | 1 | 0.8 | 0.6 | 0.6 | 0 | 0.4 | -0.2 | 1.1 | -0.6 | -0.9 | -0.7 | 0.2 | 2.2 |
| 2020 | -0.5 | -2.7 | -3.8 | -2.5 | 0 | 1.4 | -0.9 | 0.2 | 1.2 | -2.2 | 1.8 | 0.4 | -7.4 |
| 2021 | 0.8 | 1.7 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-03-28 20 SPY 142. -0.0073 -0.0103 0.0166 0.0076 0.0908 0.278 0.241 GLD 66.0 5.30e-3 0.0035
2 2007-03-29 20 SPY 142. 0.0011 -0.0085 0.0074 0.0028 0.0987 0.279 0.239 GLD 65.6 -6.10e-3 -0.0017
3 2007-03-30 20 SPY 142 0.0002 -0.0097 0.0106 -0.0036 0.0921 0.261 0.24 GLD 65.7 1.40e-3 0.0091
4 2007-04-02 20.0 SPY 142. 0.0011 -0.0073 0.0252 -0.0004 0.0952 0.258 0.241 GLD 65.8 1.70e-3 0.0002
5 2007-04-03 20 SPY 144. 0.0108 0.00580 0.0462 0.0146 0.107 0.270 0.261 GLD 65.8 -3.00e-4 0.002
6 2007-04-04 20 SPY 144. 0.0011 0.0143 0.0297 0.0175 0.109 0.264 0.271 GLD 66.8 1.49e-2 0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
